jump-diffusion-estimation 0.2.0__py3-none-any.whl

jump_diffusion/estimation/__init__.py

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+# ==========================================
+# src/jump_diffusion/estimation/__init__.py
+# ==========================================
+
+"""
+Parameter Estimation Methods
+
+This module implements various methods for estimating parameters of
+jump-diffusion models, including maximum likelihood, method of moments,
+and Bayesian approaches.
+"""
+
+from .maximum_likelihood import JumpDiffusionEstimator
+from .base_estimator import BaseEstimator
+
+__all__ = [
+    "JumpDiffusionEstimator",
+    "BaseEstimator",
+]

jump_diffusion/estimation/base_estimator.py

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+"""
+Base estimator class for parameter estimation.
+"""
+
+from abc import ABC, abstractmethod
+from typing import Dict, Any, Optional
+import numpy as np
+
+
+class BaseEstimator(ABC):
+    """
+    Abstract base class for all parameter estimators.
+    """
+
+    def __init__(self, data: np.ndarray, dt: float):
+        """
+        Initialize estimator with data.
+
+        Parameters:
+        -----------
+        data : np.ndarray
+            One-dimensional array of observed increments
+        dt : float
+            Time step size
+        """
+        self.data = data
+        self.dt = dt
+        self.fitted = False
+        self.results: Optional[Dict[str, Any]] = None
+
+    @abstractmethod
+    def estimate(self, **kwargs) -> Dict[str, Any]:
+        """
+        Estimate model parameters.
+
+        Returns:
+        --------
+        dict
+            Estimation results including parameters and diagnostics
+        """
+        pass
+
+    @abstractmethod
+    def log_likelihood(self, params: np.ndarray) -> float:
+        """
+        Calculate log-likelihood for given parameters.
+
+        Parameters:
+        -----------
+        params : np.ndarray
+            Parameter values
+
+        Returns:
+        --------
+        float
+            Log-likelihood value
+        """
+        pass
+
+    def get_results(self) -> Optional[Dict[str, Any]]:
+        """Get estimation results if available."""
+        return self.results